We just released an experimental version of what will become our best, most useful asset universe yet: the QTradableStocksUS. We are looking for feedback about the usability of the universe in your algorithms, its membership, and any technical issues.
Your strategy's foundation is its universe. You want a universe to be as large as possible, but contain only assets that match the platform capabilities. For Quantopian, that means assets for which we can find data reliably, that fit our risk management, that we can use in a multi-algorithm portfolio, and that we can trade at a reasonable transaction cost.
Everyone on Quantopian has taken advantage of the power and ease-of-use of one of our pre-defined universes, like the Q1500US. These universes provided a set of liquid, easy-to-trade stocks while excluding assets that have more difficult risk profiles like ADRs and ETFs. The QTradableStocksUS is an improvement over these universes in many ways:
- The Q500US and Q1500US universes were arbitrarily limited in size. QTradableStocksUS has no explicit size limit, and generally has between 1600-2100 members.
- The new universe has more effective screens to remove illiquid or otherwise untradeable stocks.
- For companies with more than one share class, the new universe picks the most liquid rather than always picking the primary share.
- The new universe is updated daily rather than monthly.
The new universe works hand-in-hand with the Quantopian Risk Model: all of the members of the QTradableStocksUS are covered by the risk model.
Once this universe is fully released (not experimental), this will be the preferred universe on Quantopian. We will ask everyone seeking an allocation to use this universe. At that time, algorithms that are already written using the Q500US and Q1500US will still be considered for an allocation, but we will eventually deprecate these older universes.
In the future we plan on applying other risk filters to improve QTradableStocksUS. We will remove acquisition targets based on an M&A data source. We hope to add information about short availability, and remove stocks that can't be shorted. We also plan on adding filters for stocks with pending major publicly known announcements from the FDA and other regulatory events. Each one of these data sources will make the universe's quality higher. Some of these improvements will be soon, and others will be farther in the future, after the universe is fully released.
One consideration when using the QTradableStocksUS at this time is the size of the universe. The universe is larger than the Q1500US, and many of our backend processes are optimized for pipelines that output no more than 1500 names. For now, you should restrict your pipelines to output 1500 stocks or fewer, or your backtest will run more slowly.
Here are the specific limits applied to the QTradableStocksUS:
- Market cap: over $500M: This restriction eliminates many undiversifiable risks like low liquidity and difficulty in shorting.
- Dollar volume: It is important that stocks in our universe be relatively easy to trade when entering and exiting positions. The QTradableStocksUS manages that by including only stocks that have median daily dollar volume of $2.5m or more over the trailing 200 days.
- Prior day's close: If a stock's price is lower than $5, the bid-ask spread becomes larger relative to the price, and the transaction cost becomes too high.
- 200 days of price and volume: If a stock has missing data for the previous 200 days, the company is excluded. This targets stocks with trading halts, IPOs, and other situations that make them harder to assess.
- Primary/Common share: The QTradableStocksUS chooses a single share class for each company. The criteria is to find the common share with the most dollar volume.
- ADRs, Limited Partnerships: QTradableStocksUS excludes ADRs and LPs.
Attached is a notebook that uses the QTradableStocksUS and explores the membership of the universe.